An Inertial Parallel and Asynchronous Forward–Backward Iteration for Distributed Convex Optimization

Giorgos Stathopoulos () and Colin N. Jones ()
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Giorgos Stathopoulos: École Polytechnique Fédérale de Lausanne (EPFL)
Colin N. Jones: École Polytechnique Fédérale de Lausanne (EPFL)

Journal of Optimization Theory and Applications, 2019, vol. 182, issue 3, No 12, 1088-1119

Abstract: Abstract Two characteristics that make convex decomposition algorithms attractive are simplicity of operations and generation of parallelizable structures. In principle, these schemes require that all coordinates update at the same time, i.e., they are synchronous by construction. Introducing asynchronicity in the updates can resolve several issues that appear in the synchronous case, like load imbalances in the computations or failing communication links. However, and to the best of our knowledge, there are no instances of asynchronous versions of commonly known algorithms combined with inertial acceleration techniques. In this work, we propose an inertial asynchronous and parallel fixed-point iteration, from which several new versions of existing convex optimization algorithms emanate. Departing from the norm that the frequency of the coordinates’ updates should comply to some prior distribution, we propose a scheme, where the only requirement is that the coordinates update within a bounded interval. We prove convergence of the sequence of iterates generated by the scheme at a linear rate. One instance of the proposed scheme is implemented to solve a distributed optimization load sharing problem in a smart grid setting, and its superiority with respect to the nonaccelerated version is illustrated.

Keywords: Asynchronous optimization; Convex optimization; Proximal operator; Multi-agent systems; Smart grid; 49J53; 49K99 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s10957-019-01542-7

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